
Dr Jiawei Lim
Lecturer
Tower A 016
- Email: jiawei.lim@brunel.ac.uk
- Tel: +44 (0)1895 268558
Summary
Lecturer in Financial Mathematics
Qualifications
PhD Statistics (London School of Economics)
Newest selected publications
Dassios, A., Wei Lim, J. and Qu, Y. (2020) 'Exact Simulation of Truncated Levy Subordinator'. ACM Transactions on Modeling and Computer Simulation, 30 (3). pp. 1 - 17. ISSN: 1049-3301
Dassios, A., Lim, JW. and Qu, Y. (2020) 'Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero-coupon bonds'. Mathematical Finance, 30 (4). pp. 1497 - 1526. ISSN: 0960-1627
Wei Lim, J., Dassios, A. and Qu, Y. (2019) 'Exact simulation of generalised Vervaat perpetuities'. Journal of Applied Probability, 56 (1). pp. 57 - 75. ISSN: 0021-9002
Dassios, A. and Lim, JW. (2019) 'A variation of the Azéma martingale and drawdown options'. Mathematical Finance, 29 (4). pp. 116 - 1130. ISSN: 0960-1627
Dassios, A. and Lim, JW. (2018) 'Recursive formula for the double-barrier Parisian stopping time'. Journal of Applied Probability, 55 (1). pp. 282 - 301. ISSN: 0021-9002